In excess of any more stretch of time, There is certainly hardly a statistically significant autocorrelation in significant frequency returns. If there was, then the above might be applicable which might dampen the impact.

$begingroup$ I estimate day-to-day pnl on the CDS place using the spread change times the CS01. Nevertheless I would like to estimate the PnL for a longer trade which includes long gone from the 5Y CDS to the 4Y with involved coupon payments. Allows look at:

You may also analyse the skewness and kurtosis with the interval PnL by having 3rd and 4th moments of $Y_t$ respectively. Presumably you'll conclude that for 2 sequence with equivalent expectation and variance, you can choose the one particular with favourable skew or reduce kurtosis, but perhaps not dependant upon the self esteem of the industry watch, and so forth..

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The PnL between $t$ and $T$ is the sum of all incrementals PnLs. That may be if we denote by $PnL_ uto v $ the PnL amongst occasions $u$ and $v$, then

Nivel Egres: From the viewpoint of gamma pnl, The one thing that matters could be the alter as part of your asset cost. Frequency is irrelevant - you may rebalance at different time periods or when delta exceeds a threshold or a number of other things - it continues to be an approximation of constant integral and your expected P&L can be the same.

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P&L management refers to how a firm handles its P&L statement by means of revenue and value administration.

BongoBobBongoBob 2111 silver badge44 bronze badges $endgroup$ 1 $begingroup$ That could be also very long for just a parametric technique to estimate pnl. can not you reprice your cds with present-day fascination amount curve and cds spreads? $endgroup$

$begingroup$ Unsure this is the valid problem! Gamma p/l is by definition the p/l resulting from understood volatility staying distinctive from implied.

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As it is the pnl of your hedge that offsets the option quality. Make sure you dismiss variations as a consequence of periodic vs steady for this problem. $endgroup$

As outlined I do not think one method is more specific, but a method may be needed or advised by market specifications or rules.

Now, in the above clarification, we assumed the stock was doing on some frequent vol in the slightest degree moments in time. What if the intraday vol diverges substantially through the day by day vol? Ie: Being an EXAGGERATION, say you look at some stock and also you determine in the past 10 day closing rates the stock is executing over a one vol. Essentially closes wherever it opened day after day. You then decide to look nearer and evaluate vol in thirty moment increments in lieu of by each day closing price ranges. After you glimpse intraday/thirty min increments, the thing is the stock moves a whole lot, but determined by closing selling prices performs continue to over a one vol.